Credit Spread vs VIX: Risk Divergence Indicator (HY OAS and VIX)
The relationship between high yield credit spreads and equity volatility (VIX) reveals whether risk is being priced consistently across asset classes. When credit spreads widen while VIX remains low, or vice versa, it signals a divergence that has historically resolved with a repricing in one or both markets. This page follows both series for cross-asset risk analysis.
Eco3min does not redistribute the high yield spread: its holder, ICE Data Indices, restricts republication (FRED status “pre-approval required”). The chart below shows the VIX alone. Both series can be viewed on their FRED pages, linked below.
Source: Federal Reserve Bank of St. Louis (FRED). Chart generated and served by FRED.
Macro Takeaway
This indicator is a key component of the macro-financial monitoring framework. Its current level relative to its historical distribution provides immediate context for whether conditions are historically normal, stretched, or compressed.
Set in dialogue with the high yield credit spreads and the VIX volatility index helps situate this indicator within the broader macro regime.
Dataset Overview
| Indicator | Credit Spread vs VIX Divergence (1997–2026) |
|---|---|
| Geography | United States |
| Frequency | Daily on FRED (compared at weekly frequency) |
| Period | HY OAS: rolling three-year window on FRED; VIX: since 1990 |
| Variables | Date, HY OAS (percentage points), VIX closing value |
| Format | No Eco3min file: the series are not redistributed (see BAMLH0A0HYM2 and VIXCLS on FRED) |
| Sources | ICE BofA (via FRED) & CBOE (via FRED) |
| Last updated | Continuously updated: see FRED |
Dataset Variables
The pair combines two daily series: BAMLH0A0HYM2, the HY OAS in percentage points, and VIXCLS, the VIX closing value.
BAMLH0A0HYM2 and VIXCLS on FRED
The high yield spread is published on FRED under code BAMLH0A0HYM2, under the terms of its holder, ICE Data Indices: any reproduction requires prior approval, and it is not reproduced on Eco3min. The VIX closing value is on FRED under code VIXCLS (CBOE).
Methodology
High Yield OAS from ICE BofA (FRED: BAMLH0A0HYM2) and VIX from Cboe (FRED: VIXCLS), both daily. Both series are option-adjusted or implied: they represent market-priced risk, not realized outcomes. The equity-volatility leg of this pair is examined in our reference guide to the VIX as the equity-market fear gauge.
Eco3min does not host or redistribute these series: their FRED pages, linked above, are the source.
Historical Regimes
Historical regime analysis for this dataset will be added in a future update.
Related Macroeconomic Datasets
Credit and equity volatility price different aspects of corporate risk. HY spreads reflect default probability over the maturity of the bond; VIX reflects 30-day implied equity volatility. When the two stop moving together, the discrepancy itself carries information, a pattern mapped in our reading of the HY OAS versus VIX divergence. Divergences between the two often precede regime shifts.
- US High Yield Credit Spread: The credit leg of the divergence pair
- VIX Volatility Index: The equity volatility leg of the divergence pair
- S&P 500 Price Index: Equity benchmark that VIX is derived from
- Investment Grade BBB Spread: IG spread for comparison
- Financial Conditions Index (NFCI): Composite that captures both credit and equity risk
Related Research
When credit breaks first (spreads widen before equities sell off), the credit-VIX divergence provides the earliest warning. The two FRED series allow systematic detection of those misalignments.
Macroeconomic Dataset Hub
This series page is part of the Eco3min macro-financial data hub.
Explore the Eco3min Dataset Hub
Sources
- ICE BofA (via FRED) & CBOE (via FRED)
Dataset Reference
Last updated — 5 November 2026
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